Weak Efficiency of the Indonesian Share Market: Tests with Daily Data, 1983-1992
ThisÂ paperÂ setsÂ out testÂ of theÂ weakÂ EfficientÂ MarketsÂ HypothesisÂ (EMH) andÂ applies themÂ toÂ dailyÂ dataÂ for theÂ IndonesianÂ shareÂ market.Â TestÂ used includeÂ traditionalÂ testsÂ basedÂ onÂ regressionÂ andÂ correlationÂ procedureÂ as wellÂ asÂ moreÂ recentÂ testÂ forÂ theÂ non-stationarityÂ implicationsÂ ofÂ the random-walk hypothesis,Â viz,Â the unit-root test and theÂ variance -ratio test. ResultsÂ areÂ assessedÂ forÂ sensitivityÂ withÂ respectÂ toÂ October Â 1987Â Crash. There is evidence of predictability in the share-price index, violating the weak EMH.Â ConclusionsÂ areÂ notÂ greatlyÂ affectedÂ byÂ theÂ omissionÂ of observationsÂ forÂ OctoberÂ 1987Â indicatingÂ thatÂ IndonesiaÂ wasÂ relatively isolated from the effects of the Crash.
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